The "oil" on a new chain is there to stop the metal from oxidising (or rusting). It is sticky and attracts dirt and is next to useless as a lubricant. A new chain should always be cleaned first before putting on the bike. No chain I have seen new has grease on it, baked there or otherwise. I'd change your LBS.

I've just read an article from an expert in the lubrication industry and an Audax rider. He was discussing chain lubes. His choice -- an SAE 5W-50 motor oil (eg Mobil 1) that is sythetic and has a low viscosity rating. A telling part of his article was that the most cost-efficient approach to formulate a commercial lubricant is to look at the products already on the product-line and see if one requires only minor modification. This applies often to small-volume specialised niche market product suppliers.

I'm not particularly fussed about using special bike lubes -- I use Castrol GTX on the chain, and the wear rates are no different from my previous experience with bike-specific lubricants.

FWIW

R